Optimization on Stiefel Manifold via Cayley Transform

Abstract

This paper is about Riemannian optimization on Stiefel manifold with an important application in enforcing orthonormality on parameters of a deep neural network. We specify an efficient way for estimating the retraction mapping --- i.e., mapping of the tangent vector back to the manifold --- the key challenge in Riemannian optimization due to its computational cost. Specifically, we estimate a smooth curve on Stiefel manifold that connects the previous and next update point in optimization using a novel iterative version of the Cayley transform. With this, we extended conventional stochastic gradient descent (SGD) and ADAM methods to our two new algorithms Cayley SGD with momentum and Cayley ADAM. Convergence of Cayley SGD is theoretically analyzed, while convergence rates of both algorithms are evaluated in the context of training two standard deep networks --- VGG and wide Resnet --- for image classification. Our results demonstrate that Cayley SGD and Cayley ADAM achieve faster convergence without decreasing classification accuracy of the networks, relative to the baseline SGD and ADAM, as well as existing approaches to enforcing orthogonality of network parameters.

Requirements

The script depends on opencv python bindings, easily installable via conda:

conda install -c conda-forge opencv

After that and after installing pytorch do:

pip install -r requirements.txt

Train

The commands below are examples.

CIFAR-10:

[SGD] python main.py --save ./logs/cifar10/resnet/depth28width10/SGD$RANDOM$RANDOM --model resnet --depth 28 --width 10 --gpu_id 0
[SGD-G] python main.py --save ./logs/cifar10/resnet/depth28width10/SGDG$RANDOM$RANDOM --model resnet --depth 28 --width 10 --optim_method SGDG --lr 0.01 --lrg 0.2 --gpu_id 0
[Adam-G] python main.py --save ./logs/cifar10/resnet/depth28width10/AdamG$RANDOM$RANDOM --model resnet --depth 28 --width 10 --optim_method AdamG --lr 0.01 --lrg 0.05 --gpu_id 0
[Cayley-SGD] python main.py --save ./logs/cifar10/resnet/depth28width10/CayleySGD$RANDOM$RANDOM --model resnet --depth 28 --width 10 --optim_method Cayley_SGD --lr 0.8 --lrg 0.1 --lr_decay_ratio 0.2 --gpu_id 0
[Cayley-Adam] python main.py --save ./logs/cifar10/resnet/depth28width10/CayleyAdam$RANDOM$RANDOM --model resnet --depth 28 --width 10 --optim_method Cayley_Adam --lr 0.5 --lrg 0.1 --lr_decay_ratio 0.2 --gpu_id 0

CIFAR-100:

[SGD] python main.py --save ./logs/cifar100/resnet/depth28width10/SGD$RANDOM$RANDOM --model resnet --depth 28 --width 10 --dataset CIFAR100 --gpu_id 0
[SGD-G] python main.py --save ./logs/cifar100/resnet/depth28width10/SGDG$RANDOM$RANDOM --model resnet --depth 28 --width 10 --optim_method SGDG --lr 0.01 --lrg 0.2 --dataset CIFAR100 --gpu_id 0
[Adam-G] python main.py --save ./logs/cifar100/resnet/depth28width10/AdamG$RANDOM$RANDOM --model resnet --depth 28 --width 10 --optim_method AdamG --lr 0.01 --lrg 0.05 --dataset CIFAR100 --gpu_id 0
[Cayley-SGD] python main.py --save ./logs/cifar100/resnet/depth28width10/CayleySGD$RANDOM$RANDOM --model resnet --depth 28 --width 10 --optim_method Cayley_SGD --lr 0.8 --lrg 0.1 --lr_decay_ratio 0.2 --dataset CIFAR100 --gpu_id 0
[Cayley-Adam] python main.py --save ./logs/cifar100/resnet/depth28width10/CayleyAdam$RANDOM$RANDOM --model resnet --depth 28 --width 10 --optim_method Cayley_Adam --lr 0.5 --lrg 0.1 --lr_decay_ratio 0.2 --dataset CIFAR100 --gpu_id 0

To apply this algorithm to your model

stiefel_optimizer.py is the main implementation which provides the proposed Cayley_SGD and Cayley_Adam optimizer. main.py includes all the steps to apply the provided optimizers to your model.

Collect all the weight parameters which need to be optimized on Stiefel manifold:

To train all the parameters in a model:

for param in model.parameters():
    # initialize to orthogonal matrix
    q = qr_retraction(param.data.view(param.size(0), -1))
    if q.size()[0] < q.size()[1]:
        param.data.copy_(q.view(param.size()))
        param_g.append(param)
    else:
        param_e0.append(param)

If you want to choose which weight parameters need to be optimized on Stiefel manifold, you need to calfully name each weight parameters as in resnet.py, and then put them into different groups. The following is an example that only optimizes the weight parameters in convolutional layers on Stiefel manifold and leave others for vanilla SGD.

key_g = []
if opt.optim_method in ['SGDG', 'AdamG', 'Carley_SGD', 'Carley_Adam'] :
    param_g = []
    param_e0 = []
    param_e1 = []

    for key, value in params.items():
        if 'conv' in key and value.size()[0] <= np.prod(value.size()[1:]):
            param_g.append(value)
            key_g.append(key)
            if opt.optim_method in ['SGDG', 'AdamG']:
                # initialize to scale 1
                unitp, _ = unit(value.data.view(value.size(0), -1)) 
                value.data.copy_(unitp.view(value.size()))
            elif opt.optim_method == ['Carley_SGD', 'Carley_Adam']:
                # initialize to orthogonal matrix
                q = qr_retraction(value.data.view(value.size(0), -1)) 
                value.data.copy_(q.view(value.size()))               
        elif 'bn' in key or 'bias' in key:
            param_e0.append(value)
        else:
            param_e1.append(value)

Create the optimizer with proper parameters:

import stiefel_optimizer
dict_g = {'params':param_g,'lr':lrg,'momentum':0.9,'stiefel':True}
dict_e0 = {'params':param_e0,'lr':lr,'momentum':0.9,'stiefel':False,'weight_decay':opt.bnDecay,'nesterov':True}
dict_e1 = {'params':param_e1,'lr':lr,'momentum':0.9,'stiefel':False,'weight_decay':opt.weightDecay,'nesterov':True}
return stiefel_optimizer.SGDG([dict_g, dict_e0, dict_e1])  # or use CayleyAdam

xaviergonzalez / Optimization-on-Stiefel-Manifold-via-Cayley-Transform

Optimization on Stiefel Manifold via Cayley Transform

Abstract

Requirements

Train

To apply this algorithm to your model

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